On the option valuation and decomposition of exchange option
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In this paper, we shall find the uniquerational price associated with the exchange option. Also, we find the decomposition of Snell envelope and value function of the American exchange option.
AMS Mathematics Subject Classification60H30 60H20 90A09
Key words and phrasesExchange option value function Snell envelope
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© Korean Society for Computational and Applied Mathematics 2002